30#include <ql/methods/montecarlo/brownianbridge.hpp>
35 : size_(steps), t_(size_), sqrtdt_(size_),
36 bridgeIndex_(size_), leftIndex_(size_), rightIndex_(size_),
37 leftWeight_(size_), rightWeight_(size_), stdDev_(size_) {
39 t_[i] =
static_cast<Time>(i+1);
44 : size_(times.size()), t_(times), sqrtdt_(size_),
45 bridgeIndex_(size_), leftIndex_(size_), rightIndex_(size_),
46 leftWeight_(size_), rightWeight_(size_), stdDev_(size_) {
51 : size_(timeGrid.size()-1), t_(size_), sqrtdt_(size_),
52 bridgeIndex_(size_), leftIndex_(size_), rightIndex_(size_),
53 leftWeight_(size_), rightWeight_(size_), stdDev_(size_) {
55 t_[i] = timeGrid[i+1];
70 std::vector<Size> map(
size_, 0);
89 Size l = j + ((k-1-j)>>1);
99 std::sqrt(((
t_[l]-
t_[j-1])*(
t_[k]-
t_[l]))
std::vector< Size > leftIndex_
std::vector< Real > sqrtdt_
std::vector< Size > rightIndex_
std::vector< Real > stdDev_
std::vector< Real > rightWeight_
BrownianBridge(Size steps)
std::vector< Size > bridgeIndex_
std::vector< Real > leftWeight_
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container